Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0305
Annualized Std Dev 0.2188
Annualized Sharpe (Rf=0%) 0.1396

Row

Daily Return Statistics

Close
Observations 3677.0000
NAs 1.0000
Minimum -0.1400
Quartile 1 -0.0058
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.1182
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0138
Skewness -0.2544
Kurtosis 11.3214

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0095
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.4689
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0333
Modified VaR (95%) -0.0203
Modified ES (95%) -0.0318
From Trough To Depth Length To Trough Recovery
2007-03-26 2009-03-09 2018-01-19 -0.4689 2708 483 2225
2020-01-21 2020-03-23 2020-08-26 -0.3218 153 44 109
2018-01-29 2018-12-24 2019-11-27 -0.2410 462 228 234
2021-02-17 2021-03-08 NA -0.0704 24 14 NA
2020-10-13 2020-10-30 2020-11-05 -0.0675 18 14 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.3 0 0.1 -0.5 -0.3 -0.5 -0.1 -1
2007 1.8 -0.7 -1.8 0.5 0.5 1 -0.8 1.7 0.9 -0.9 -0.1 -0.2 2
2008 0.6 -0.3 2 0.9 1.5 0.5 -0.2 0.1 2.3 -0.2 -2.2 2 7.2
2009 -0.3 0.1 2.9 -0.5 1.6 1.7 1.1 -3.1 -3.8 -3.9 3.2 0.5 -0.9
2010 1.6 1.2 1.7 -1.5 -3.1 0.2 -0.1 3.4 1.4 0.1 2.3 0 7.3
2011 1.9 -1.4 1.4 0.9 -1.6 0.7 -0.3 -1.4 -2.3 -2.4 0.5 0.9 -3.3
2012 2.6 0.4 0.6 1.1 -2.9 4.1 0.4 1.3 0.6 1.7 0.3 1.4 12.1
2013 1.2 -0.6 -0.8 -0.4 -1.9 0.9 1 -0.4 0.8 -0.7 0 0.4 -0.5
2014 -0.3 0.5 0.2 0.5 -0.5 0.7 -0.1 0 -1.1 0.9 -0.6 -0.1 0
2015 -1.9 0 0.9 0.4 -0.3 0.5 1.2 -3.3 0.4 0 1.1 -0.2 -1.3
2016 -0.1 3 -0.1 -0.7 0 0.7 -0.5 0.4 0.1 -0.9 -1 0.1 1
2017 0.4 0.8 -0.2 0.6 0.4 0.8 0.4 0.5 0.7 -0.2 0 0.4 4.6
2018 0.4 -1.9 1.7 -0.7 0.5 1 -0.5 -0.2 0.4 2.2 -0.9 0.5 2.4
2019 -0.1 0.9 1.4 -0.8 -0.4 1.2 -0.4 0.7 -0.6 1.4 -0.7 0.6 3.3
2020 -1.7 -1.3 -3.2 -2.6 2.3 0.7 -1.5 0.6 0.8 -1.3 1.7 -0.7 -6.1
2021 2.2 1.9 0.4 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.0 SPY    125. -0.0073  -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-20  50.3 SPY    124.  0.0034   0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
3 2006-06-23  49.9 SPY    124. -0.0002  -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
4 2006-06-26  50.1 SPY    125.  0.0044   0.0107   -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005    0.0341
5 2006-07-06  51.8 SPY    127.  0.00290  0.0216    0.005   -0.0272   0.0666    0.266   0.0433 GLD    63.0  0.0083   0.0952
6 2006-07-07  51.8 SPY    127. -0.0065  -0.0052    0.006   -0.0326   0.0555    0.252   0.0327 GLD    62.6 -0.0062   0.0523
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart